Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0334
Annualized Std Dev 0.2368
Annualized Sharpe (Rf=0%) -0.1409

Row

Daily Return Statistics

Close
Observations 4190.0000
NAs 1.0000
Minimum -0.2474
Quartile 1 -0.0058
Median 0.0006
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0063
Maximum 0.1684
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0149
Skewness -1.5418
Kurtosis 32.7119

Downside Risk

Close
Semi Deviation 0.0113
Gain Deviation 0.0103
Loss Deviation 0.0133
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.7696
Historical VaR (95%) -0.0207
Historical ES (95%) -0.0364
Modified VaR (95%) -0.0206
Modified ES (95%) -0.0206
From Trough To Depth Length To Trough Recovery
2006-01-04 2020-03-18 NA -0.7696 3829 3575 NA
2005-03-02 2005-03-29 2005-07-12 -0.1271 92 19 73
2005-10-03 2005-11-14 2005-11-25 -0.1075 39 31 8
2004-12-22 2005-01-27 2005-02-16 -0.0599 39 25 14
2005-08-17 2005-08-26 2005-09-06 -0.0533 14 8 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA 0 0 1.7 -1.2 -1.2 2 1.2
2005 -0.4 1.8 -0.6 -1.8 -1.5 0.4 -0.2 -0.3 0.9 0.4 -2.5 0.7 -3
2006 -1.4 1.8 0 0.2 -0.4 0.8 -3.4 -4 -0.1 1.4 1.4 0.4 -3.5
2007 1.5 -0.3 0 0.5 0.6 0.6 -0.2 1.1 0.7 -0.9 1.2 2.6 7.6
2008 1.6 -1.3 2.3 1.5 0.3 0 0.1 -1.4 1.4 1.7 -7.1 4.3 3
2009 -2.1 -1.8 0.4 0.7 2.6 1.3 1.3 -2.1 -1.7 -3.5 1.3 0.9 -2.8
2010 0.4 0.7 1.2 -1 -1.4 -0.8 0.1 1.4 0.5 0.2 1.9 0.8 3.8
2011 1.8 -1.5 0.4 0.2 -1.4 1 2 -1.8 -3 -1 -0.3 0.7 -2.9
2012 2.9 1.1 0.2 0.7 -2.1 2.9 2.2 0.8 0.6 2.8 0.4 1.9 15.3
2013 1.3 0.3 -0.7 -0.2 -1.2 0.8 1.5 -0.1 0.3 0.8 0.3 0.3 3.4
2014 -1.1 0.3 1.1 0.8 0.5 1 0.1 0.5 -0.6 1.7 -0.6 0.8 4.5
2015 -0.6 0.4 1.5 0.5 1.7 1 -0.9 -1.9 0.2 1 0.5 -0.4 3
2016 0.7 1.3 0.6 -1 0 0.6 -0.1 -0.6 1 -1.1 -0.7 -0.2 0.4
2017 -0.3 0.4 0.5 0.6 0.9 0.3 0.6 0.2 0.4 -0.6 -0.8 -0.1 2
2018 -0.1 -0.9 -0.1 1.1 0.8 0.4 -0.5 0.5 1.7 3.4 -0.2 0 6.1
2019 1.3 0.4 1.1 0.4 -0.4 0.8 0.8 -2.3 0.3 0.4 0.3 -0.2 2.6
2020 -0.2 -6.5 -5.5 -2.1 1.9 1.7 0.7 -0.3 1.1 -0.9 1.2 0 -8.9
2021 -1.6 2.8 0 NA NA NA NA NA NA NA NA NA 1.1

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart